Problem $11$

Intro

The Brennon Group is a U$.$S$.$ hedge fund that wants to benefit from the interest rate differential between the euro area and Japan. A euro $()$ costs $$1\mathrm{.}19$ today, while a yen $()$ costs $$0\mathrm{.}0087$ today. The fund expects the exchange rates to still be $$1\mathrm{.}19$ per euro and $$0\mathrm{.}0087$ per yen in $3$ months. Current annual interest rates are as follows:

$\backslash$table$[[$Currency$,$Borrowing rate,Lending rate$],[$Euro$,7\mathrm{.}5\%,6\mathrm{.}6\%$